Milstein's type schemes for fractional SDEs

DOI10.1214/08-AIHP196zbMATH Open1197.60070MaRDI QIDQ985345FDOQ985345

Authors Mihai Gradinaru, Ivan Nourdin

Publication date 21 July 2010

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702317

zbMATH Keywords

stochastic differential equationfractional Brownian motionexact rate of convergenceMilstein's type schemeweighted power variations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: Weighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.

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Cited in

(23)

• Convergence in total variation to a mixture of Gaussian laws
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Asymptotic behaviour for quadratic variations of non-Gaussian multiparameter Hermite random fields
• The convergence of exponential Euler method for weighted fractional stochastic equations
• Error analysis for approximations to one-dimensional SDEs via the perturbation method
• CEV model equipped with the long-memory
• A central limit theorem for some generalized martingale arrays
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes
• Discrete rough paths and limit theorems
• Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
• Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
• Taylor schemes for rough differential equations and fractional diffusions
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Discretizing the fractional Lévy area
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion

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